I'm gonna do this to a shitty Academy I use for slide. It already got the nut raised half-ass and I'm planning to just sand the top and stain it black. It sucks but if action isn't an issue its a fine piece of shit for dirty blues jams.

You want a more natural tone? Get yourself a bone nut, bone saddle? And some good bridge pins. Bone is good for bridge pins too, but you can also go for some high quality woods like ebony or something. And get some high quality strings!

Those parts affect your tone majorly. Finish thickness just doesn't. And if you try to sand it it'll look terrible. And if you try to remove it with solvents you'll probably destroy the wood!

TL;DR: thinning the finish is a terrible idea. Just upgrade the parts on your guitar and be happy. Or buy/build something of higher quality and a 'thinner finish' to begin with.